Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
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Bibliographic InfoArticle provided by Springer in its journal Computational Statistics.
Volume (Year): 25 (2010)
Issue (Month): 1 (March)
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Web page: http://www.springerlink.com/link.asp?id=120306
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- Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003.
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"Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates,"
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- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," ULB Institutional Repository 2013/10443, ULB -- Universite Libre de Bruxelles.
- Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
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- Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
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